Pengaruh Bankruptcy Risk, Size Dan Book-to-market Perusahaan Terhadap Imbal Hasil

Chintya Afriani Utama • Astari Lumondang


This study investigates: a) the influence o f firm size and book-to-market ratio on bankruptcy risk, and b) the effect o f bankruptcy risk, firm size, and book-to-market ratio on subsequent return. The study employs Altman Z-Score and Ohlson 0-Score as proxies for bankruptcy risk. The results show that size has positive impact on Bankruptcy Risk measured by Altman Z-Score while book-to-market has positive impact on bankruptcy risk measured Ohlson 0-Score. Furthermore, the results show that none o f the variables has significant impact on subsequent return. Overall, this study asserts Dichev's (1998) findings that bankruptcy risk is not rewarded by higher stock returns and therefore not systematic.




Indonesian Journal of Accounting and Finance

Jurnal Akuntansi dan Keuangan Indonesia (JAKI; English: Indonesian Journal of Accounting and Fina... see more